If you don't want to install an IDE, you can also use IDLE which includes a Python editor and a console to test things out, this is part of the standard installation.
If you installed the python.org version, you will see an IDLE (Python GUI) in your start menu. I would recommend adding it to your Quick Launch or your desktop - whatever you are most familiar with. Then right-click on the shortcut you have created and change the "Start in" directory to your project directory or a place you can mess with, not the installation directory which is the default place and probably a bad idea.
When you double-click the shortcut it will launch IDLE, a console in which you can type in Python command and have history, completion, colours and so on. You can also start an editor to create a program file (like mentioned in the other posts). There is even a debugger.
If you saved your application in "test.py", you can start it from the editor itself. Or from the console with execfile("test.py"), import test (if that is a module), or finally from the debugger.